A simple joint model for returns, volatility and volatility of volatility
Yashuang (Dexter) Ding
| Year of publication: |
2023
|
|---|---|
| Authors: | Ding, Yashuang |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 521-543
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| Subject: | GARCH | SV | Forecasting | Nowcasting | Volatility of volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.09.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014340096